Publications-Theses
Article View/Open
Publication Export
-
題名 過度自信在牛熊市之績效探討
Performance of Overconfidence in bull and bear market作者 朱鴻埕
Zhu, Hong-Cheng貢獻者 李志宏
朱鴻埕
Zhu, Hong-Cheng關鍵詞 過度自信
牛熊市
Overconfidence
Bull and Bear market日期 2019 上傳時間 7-Aug-2019 16:03:21 (UTC+8) 摘要 本文研究主要是針對過去過度自信會造成投資人績效偏差的現象進行研究，主要是因為本文作者認為過度自信是一個好的現象，看對股市方向擴大交易行為應當能把握較多的報酬，而且也有過去文獻針對過度自信的交易行為進行平反，不過大多是以模型推導為主，因此本文將以實證分析來找出何種情形過度自信會有正面的影響，並且假設當牛市時進行過度自信較能掌握報酬，以及針對過度自信的衡量將以牛市情況下以較高的股市週轉率來做代表，力圖透過現在牛市市場找出過度自信對績效有正面的影響。
This essay focuses on the bad performance of the behavior from overconfidence because the author of this essay believes that overconfidence should cause good result of profit if investors having the right expectation would make profit by aggressive trading.In addition, past essays also stand this point by building model to expect the good result from overconfidence. Hence, this essay will use empirical analysis to find out under what circumstances overconfidence will have a positive impact on performance and assume in bull market overconfident investor should capture additional profit. And use the turnover factor in bull market as a proxy for overconfidence. Try to establish the finding that overconfidence would cause good profit.參考文獻 Barber, B. M., & Odean, T. (2000). Trading is hazardous to your wealth: The common stock investment performance of individual investors. The journal of Finance, 55(2), 773-806.Barber, B. M., & Odean, T. (2000). Too many cooks spoil the profits: The performance of investment clubs. Financial Analyst Journal, 56(1), 17-25.Barber, B. M., Lee, Y. T., Liu, Y. J., & Odean, T. (2004). Do individual day traders make money? Evidence from Taiwan. University of California, Berkeley, working paper.Barber, B. M., Lee, Y. T., Liu, Y. J., & Odean, T. (2008). Just how much do individual investors lose by trading?. The Review of Financial Studies, 22(2), 609-632.Benos, A. V. (1998). Aggressiveness and survival of overconfident traders. Journal of Financial Markets, 1(3-4), 353-383.Chuang, W. I., & Lee, B. S. (2006). An empirical evaluation of the overconfidence hypothesis. Journal of Banking & Finance, 30(9), 2489-2515.Chuang, W. I., & Susmel, R. (2011). Who is the more overconfident trader? Individual vs. institutional investors. Journal of Banking & Finance, 35(7), 1626-1644.Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor psychology and security market under‐and overreactions. the Journal of Finance, 53(6), 1839-1885.Daniel, K. D., Hirshleifer, D., & Subrahmanyam, A. (2001). Overconfidence, arbitrage, and equilibrium asset pricing. The Journal of Finance, 56(3), 921-965.De Bondt, W. F., & Thaler, R. (1985). Does the stock market overreact?. The Journal of finance, 40(3), 793-805.Gervais, S., & Odean, T. (2001). Learning to be overconfident. Review of financial studies.Kahneman, D., & Riepe, M. W. (1998). Aspects of investor psychology. Journal of portfolio management, 24(4), 52-+.Odean, T. (1998). Are investors reluctant to realize their losses?. The Journal of finance, 53(5), 1775-1798.Odean, T. (1999). Do investors trade too much?. American economic review, 89(5), 1279-1298.Pagan, A. R., & Sossounov, K. A. (2003). A simple framework for analysing bull and bear markets. Journal of applied econometrics, 18(1), 23-46.Statman, M., Thorley, S., & Vorkink, K. (2006). Investor overconfidence and trading volume. The Review of Financial Studies, 19(4), 1531-1565.劉永欽, & 洪榮華. (2006). 過度自信與股市交易行爲關聯性之實證研究-以國內證券商爲例. 中山管理評論, 14(3), 569-603.蔡永順, & 劉文智. (2011). 台灣機構投資人過度自信行為實證研究. 台灣管理學刊, 11(2), 91-126. 描述 碩士
國立政治大學
財務管理學系
106357002資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106357002 資料類型 thesis dc.contributor.advisor 李志宏 zh_TW dc.contributor.author (Authors) 朱鴻埕 zh_TW dc.contributor.author (Authors) Zhu, Hong-Cheng en_US dc.creator (作者) 朱鴻埕 zh_TW dc.creator (作者) Zhu, Hong-Cheng en_US dc.date (日期) 2019 en_US dc.date.accessioned 7-Aug-2019 16:03:21 (UTC+8) - dc.date.available 7-Aug-2019 16:03:21 (UTC+8) - dc.date.issued (上傳時間) 7-Aug-2019 16:03:21 (UTC+8) - dc.identifier (Other Identifiers) G0106357002 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/124692 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 106357002 zh_TW dc.description.abstract (摘要) 本文研究主要是針對過去過度自信會造成投資人績效偏差的現象進行研究，主要是因為本文作者認為過度自信是一個好的現象，看對股市方向擴大交易行為應當能把握較多的報酬，而且也有過去文獻針對過度自信的交易行為進行平反，不過大多是以模型推導為主，因此本文將以實證分析來找出何種情形過度自信會有正面的影響，並且假設當牛市時進行過度自信較能掌握報酬，以及針對過度自信的衡量將以牛市情況下以較高的股市週轉率來做代表，力圖透過現在牛市市場找出過度自信對績效有正面的影響。 zh_TW dc.description.abstract (摘要) This essay focuses on the bad performance of the behavior from overconfidence because the author of this essay believes that overconfidence should cause good result of profit if investors having the right expectation would make profit by aggressive trading.In addition, past essays also stand this point by building model to expect the good result from overconfidence. Hence, this essay will use empirical analysis to find out under what circumstances overconfidence will have a positive impact on performance and assume in bull market overconfident investor should capture additional profit. And use the turnover factor in bull market as a proxy for overconfidence. Try to establish the finding that overconfidence would cause good profit. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究動機 1第二節 研究目的 2第二章 文獻回顧 4第一節 行為上過度自信 4第二節 績效上過度自信 5第三節 用過度自信解釋異常現象 5第四節 針對市場交易者的實證結果 6第五節 不同交易者其過度自信程度 7第三章 研究方法 9第一節 資料來源、變數與處理 9第二節 方法論 14第三節 研究假說 16第四節 模型建立 18第四章 實證結果 20第五章 結論 28參考文獻 30 zh_TW dc.format.extent 729881 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106357002 en_US dc.subject (關鍵詞) 過度自信 zh_TW dc.subject (關鍵詞) 牛熊市 zh_TW dc.subject (關鍵詞) Overconfidence en_US dc.subject (關鍵詞) Bull and Bear market en_US dc.title (題名) 過度自信在牛熊市之績效探討 zh_TW dc.title (題名) Performance of Overconfidence in bull and bear market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Barber, B. M., & Odean, T. (2000). Trading is hazardous to your wealth: The common stock investment performance of individual investors. The journal of Finance, 55(2), 773-806.Barber, B. M., & Odean, T. (2000). Too many cooks spoil the profits: The performance of investment clubs. Financial Analyst Journal, 56(1), 17-25.Barber, B. M., Lee, Y. T., Liu, Y. J., & Odean, T. (2004). Do individual day traders make money? Evidence from Taiwan. University of California, Berkeley, working paper.Barber, B. M., Lee, Y. T., Liu, Y. J., & Odean, T. (2008). Just how much do individual investors lose by trading?. The Review of Financial Studies, 22(2), 609-632.Benos, A. V. (1998). Aggressiveness and survival of overconfident traders. Journal of Financial Markets, 1(3-4), 353-383.Chuang, W. I., & Lee, B. S. (2006). An empirical evaluation of the overconfidence hypothesis. Journal of Banking & Finance, 30(9), 2489-2515.Chuang, W. I., & Susmel, R. (2011). Who is the more overconfident trader? Individual vs. institutional investors. Journal of Banking & Finance, 35(7), 1626-1644.Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor psychology and security market under‐and overreactions. the Journal of Finance, 53(6), 1839-1885.Daniel, K. D., Hirshleifer, D., & Subrahmanyam, A. (2001). Overconfidence, arbitrage, and equilibrium asset pricing. The Journal of Finance, 56(3), 921-965.De Bondt, W. F., & Thaler, R. (1985). Does the stock market overreact?. The Journal of finance, 40(3), 793-805.Gervais, S., & Odean, T. (2001). Learning to be overconfident. Review of financial studies.Kahneman, D., & Riepe, M. W. (1998). Aspects of investor psychology. Journal of portfolio management, 24(4), 52-+.Odean, T. (1998). Are investors reluctant to realize their losses?. The Journal of finance, 53(5), 1775-1798.Odean, T. (1999). Do investors trade too much?. American economic review, 89(5), 1279-1298.Pagan, A. R., & Sossounov, K. A. (2003). A simple framework for analysing bull and bear markets. Journal of applied econometrics, 18(1), 23-46.Statman, M., Thorley, S., & Vorkink, K. (2006). Investor overconfidence and trading volume. The Review of Financial Studies, 19(4), 1531-1565.劉永欽, & 洪榮華. (2006). 過度自信與股市交易行爲關聯性之實證研究-以國內證券商爲例. 中山管理評論, 14(3), 569-603.蔡永順, & 劉文智. (2011). 台灣機構投資人過度自信行為實證研究. 台灣管理學刊, 11(2), 91-126. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU201900490 en_US
